Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 20-33
The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor’s, Moody’s, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are defined using EGARCH specifications. The estimation...
